Intraday trade and quote dynamics: A Cox regression analysis

Chad R. Bhatti

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 7, 2240-2249

Abstract: In this paper we apply the Cox proportional hazards model with an automated forward variable selection algorithm to identify the prominent market microstructure variables affecting the arrival rates of the trade and response quote processes. We use this flexible data-driven modeling approach to empirically examine the informational dynamics of individual securities and the economic similarities in trade and response quote dynamics across samples without imposing a structured relationship on the data.

Keywords: Dependent point processes; Market microstructure; High-frequency finance; TAQ data; Cox proportional hazards model (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2009:i:7:p:2240-2249

DOI: 10.1016/j.matcom.2008.12.020

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